The Dynamic Association of Taiwan Stock Index Futures, Stock Index and Exchange Rate - VECM and VECM-GARCH Application

• Main Authors: Ming-hsuan Jen, 任明軒
• Other Authors: Wei-der Tsai
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/61680849574359002018

碩士 === 國立中央大學 === 產業經濟研究所 === 96 === This thesis focuses on the Taiwan stock index, stock index futures and the exchange rate as of variables, and the use of VECM VECM-GARCH to examine the correlation among the dynamic, and time is divided into three parts, the results showed that in VECM, the stock and futures in three part-time are affecting each other, and futures influence stock after 2003 has improved. Exchange rate in the first and third part had no significant impact on the stock and futures, and then the second part, the stock and futures are significantly affected. We can see the exchange rate in the long-term has no impact on the stock and futures, but in the short term while the influence larger. Then in VECM-GARCH, the results we found is keeping path with VECM model, which declare an interactive relationship between stock and futures both in short and long-term period, and the stock influence is larger. After 2003 and 2006, futures influenced the stock had improved. Under the long-term, exchange rate has no apparent impact on the stock and futures, but in the short term the influence has more pronounced impact. Based on the above, can be known stock appear to be the informational leading market, but the dominant role of futures becomes more significant after the government policy.